M-estimation of linear models with dependent errors
The Annals of Statistics · 2007 · Volume 35 · Issue 2
DOI: 10.1214/009053606000001406
Abstract
We study asymptotic properties of M-estimates of regression parameters in linear models in which errors are dependent. Weak and strong Bahadur representations of the M-estimates are derived and a central limit theorem is established. The results are applied to linear models with errors being short-range dependent linear processes, heavy-tailed linear processes and some widely used nonlinear time series.
Keywords
60F05, 62J05, Dependence, linear model, nonlinear time series, robust estimation
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